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Report NEP-RMG-2022-12-12
This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stanley Miles issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-RMG
The following items were announced in this report:
- Amit Chaudhary & Daniele Pinna, 2022, "A multi-asset, agent-based approach applied to DeFi lending protocol modelling," Papers, arXiv.org, number 2211.08870, Nov, revised Dec 2022.
- Storti, Giuseppe & Wang, Chao, 2022, "A multivariate semi-parametric portfolio risk optimization and forecasting framework," MPRA Paper, University Library of Munich, Germany, number 115266, Aug.
- Aleksander Schiffers & Marcin Chlebus, 2021, "The effectiveness of Value-at-Risk models in various volatility regimes," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2021-28.
- Emma Kroell & Silvana M. Pesenti & Sebastian Jaimungal, 2022, "Stressing Dynamic Loss Models," Papers, arXiv.org, number 2211.03221, Nov, revised Oct 2023.
- Fabien Le Floc'h, 2022, "On the Bachelier implied volatility at extreme strikes," Papers, arXiv.org, number 2211.10232, Nov.
- Jackson P. Lautier & Vladimir Pozdnyakov & Jun Yan, 2022, "On the Convergence of Credit Risk in Current Consumer Automobile Loans," Papers, arXiv.org, number 2211.09176, Nov, revised Jan 2024.
- Marc S. Paolella & Pawel Polak, 2022, "Density and Risk Prediction with Non-Gaussian COMFORT Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-88, Nov.
- Inaki Aldasoro & Luitgard A M Veraart, 2022, "Systemic Risk in Markets with Multiple Central Counterparties," BIS Working Papers, Bank for International Settlements, number 1052, Nov.
- Leonie Bräuer & Harald Hau, 2022, "Can Time-Varying Currency Risk Hedging Explain Exchange Rates?," CESifo Working Paper Series, CESifo, number 10065.
- Best, Stefan, 2021, "Minimum capital requirements for market risk: An overview and critical analysis of the standardized approaches under Basel III," wifin Working Paper Series, RheinMain University of Applied Sciences, Wiesbaden Institute of Finance and Insurance (wifin), number 10/2021.
- Sebastian Calcetero-Vanegas & Andrei L. Badescu & X. Sheldon Lin, 2022, "Effective experience rating for large insurance portfolios via surrogate modeling," Papers, arXiv.org, number 2211.06568, Nov, revised Jun 2024.
- Kuntal K. Das & Mona Yaghoubi, 2022, "Stock Liquidity and Firm-Level Political Risk," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 22/18, Nov.
- George Samartzis & Nikitas Pittis, 2022, "Dynamic Estimates Of The Arrow-Pratt Absolute And Relative Risk Aversion Coefficients," Papers, arXiv.org, number 2211.03604, Nov.
- M. Reza Bradrania & Maurice Peat & Stephen Satchell, 2022, "Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns," Papers, arXiv.org, number 2211.04695, Nov.
- Ferraz, Eduardo & Mantilla, Cesar, 2022, "A trade-off from the future: How risk aversion may explain the demand for illiquid assets," OSF Preprints, Center for Open Science, number xbsn8, Sep, DOI: 10.31219/osf.io/xbsn8.
- Sangmin Oh & Ishita Sen & Ana-Maria Tenekedjieva, 2022, "Pricing of Climate Risk Insurance: Regulation and Cross-Subsidies," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2022-064, Oct, DOI: 10.17016/FEDS.2022.064.
- Prendergast, Michael, 2022, "Mutual Fund Allocations that Maximize Safe Portfolio Returns," OSF Preprints, Center for Open Science, number dypw6, Sep, DOI: 10.31219/osf.io/dypw6.
- Vladim'ir Hol'y, 2022, "An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations," Papers, arXiv.org, number 2211.12376, Nov, revised May 2024.
- Kamil Korzeń & Robert Ślepaczuk, 2021, "Enhanced Index Replication Based on Smart Beta and Tail-Risk Asset Allocation," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2021-18.
- Yuchen Li & Zongxia Liang & Shunzhi Pang, 2022, "Continuous-Time Monotone Mean-Variance Portfolio Selection in Jump-Diffusion Model," Papers, arXiv.org, number 2211.12168, Nov, revised May 2024.
- Sebastian Doerr & Gazi Kabas & Steven Ongena, 2022, "Population aging and bank risk-taking," BIS Working Papers, Bank for International Settlements, number 1050, Nov.
- Mario Cerrato & Hormoz Ramian & Shengfeng Mei, 2022, "European firms, Panic Borrowing and Credit Lines Drawdowns: What did we learn from the COVID-19 shock? (updated version February 2023)," Working Papers, Business School - Economics, University of Glasgow, number 2022_12, Nov.